SA-CCR tests.
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#include <test/saccr.hpp>
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static void | testSACCR_HedgingSets () |
| | Test that trades are being divided into hedging sets as expected.
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static void | testSACCR_CurrentNotional () |
| | Test that the current notional is being calculated as expected.
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static void | testSACCR_Delta () |
| | Test that delta is being calculated as expected.
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static void | testSACCR_FxPortfolio () |
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static void | testSACCR_FlippedFxOptions () |
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static boost::unit_test_framework::test_suite * | suite () |
SA-CCR tests.
Compare the results of SA-CCR calculations against cached results
